Screening Chinese Stocks by Intraday Range and Relative Volume

Summary

The proposed stock screen selects shares with a daily high-low range of at least one percent and relative volume between 1.5 and 6 times its five-day average. It also filters on company or industry classification, with consumer and healthcare sectors offered as examples. The accompanying rationale is that a larger range may indicate trading opportunity, while elevated but bounded volume may identify active stocks without extreme turnover.

The text provides indicator logic and sample implementation references, but no historical test, portfolio results, or evidence that these thresholds predict returns. It acknowledges that the screen omits detailed financial quality measures and can be affected by policy or other external changes. Suggested refinements include adding valuation, leverage, and dividend measures and tailoring criteria by sector or market. The sample code and prose appear inconsistent on the range condition and industry field, so implementation details need review before use.

Key ideas

• The screen requires a daily high-low range of at least one percent.
• It selects relative volume from 1.5 to 6 times the five-day average.
• An industry or company classification filter narrows the candidate universe.
• The proposal offers no backtest or performance evidence and omits detailed financial analysis.
• The text suggests adding valuation, leverage, and dividend features and using sector-specific rules.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.